Product, Product, Product.....I have the same problem and the only thing that will allow my hair to hold a curl is to put a lot of styling product on it ....ask your stylist what he or she would suggest for your hair type

I just add a lot of hairspray and this mega hold gel that works really well with thick hair! I also put my hair into layers while I am curling it and it looks more fuller so it wont look like its falling out as fast!